Deep Field Capital AG : Intraday Crisis Alpha Program (ICA)

Year-to-Date
23.20%
Jul Performance
-2.06%
Min Investment
$ 1,500k
Mgmt. Fee
1.00%
Perf. Fee
25.00%
Annualized Vol
8.51%
Sharpe (RFR=1%)
1.37
CAROR
13.03%
Assets
$ 105.0M
Worst DD
-6.00
S&P Correlation
-0.12

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Jul Qtr YTD 1yr 3yr 5yr 10yr Since
5/2017
Intraday Crisis Alpha Program (ICA) -2.06 7.85 23.20 23.44 48.26 - - 48.88
S&P 500 5.51 12.32 1.25 9.76 31.27 - - 34.25
+/- S&P 500 -7.57 -4.47 21.95 13.68 16.99 - - 14.63

Strategy Description

Summary

ICA is a pure intraday momentum program, focusing on large tail events in global equity indices, aiming to stay away from the average daily trading ranges that tend to be mean reverting. ICA is designed to benefit from big intraday moves to the upside as well as downside, generating... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,500k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 5.00
Management Fee 1.00%
Performance Fee 25.00%
Average Commission
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 7400 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD -15.00%
Worst Peak-to-Trough -5.87%
Sector Focus Stock Index Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 0%
Intraday 100.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Momentum
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

ICA is a pure intraday momentum program, focusing on large tail events in global equity indices, aiming to stay away from the average daily trading ranges that tend to be mean reverting. ICA is designed to benefit from big intraday moves to the upside as well as downside, generating pure alpha and providing hedging capabilities in times of crisis without the usual cost of an insurance premium.

Investment Strategy

ICA is a pure intraday momentum program, focusing on large tail events in global equity indices, aiming to stay away from the average daily trading ranges that tend to be mean reverting. ICA is designed to benefit from big intraday moves to the upside as well as downside, generating pure alpha and providing hedging capabilities in times of crisis without the usual cost of an insurance premium. Trading only intraday and closing out all positions by the end of the trading session, ICA is extremely capital efficient and can be implemented on top of any portfolio without additional capital requirements. While the program has initially been developed and traded on the S&P 500 futures, it has matured into a global program, trading a total of 16 equity index futures in the uncorrelated intraday sessions in the US, Asia (added in 01/2019) and Europe (added in 11/2019).

Risk Management

Trade generation, execution and risk management is electronic and automated, utilizing in-house proprietary software.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-6.00 7 4 3/1/2019 10/1/2019
-2.06 1 - 6/1/2020 7/1/2020
-1.30 1 2 10/1/2018 11/1/2018
-1.09 5 1 8/1/2017 1/1/2018
-0.76 3 1 6/1/2018 9/1/2018
-0.28 2 1 5/1/2017 7/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
25.79 6 1/1/2020 6/1/2020
19.78 5 2/1/2018 6/1/2018
6.10 4 12/1/2018 3/1/2019
2.55 1 11/1/2019 11/1/2019
1.69 1 8/1/2017 8/1/2017
1.55 2 8/1/2019 9/1/2019
1.46 1 10/1/2018 10/1/2018
0.70 1 5/1/2017 5/1/2017
0.28 1 6/1/2019 6/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-3.72 2 4/1/2019 5/1/2019
-2.10 1 10/1/2019 10/1/2019
-2.08 1 7/1/2019 7/1/2019
-2.06 1 7/1/2020 7/1/2020
-1.73 1 12/1/2019 12/1/2019
-1.30 1 11/1/2018 11/1/2018
-1.09 5 9/1/2017 1/1/2018
-0.76 3 7/1/2018 9/1/2018
-0.28 2 6/1/2017 7/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods39.0037.0034.0028.0022.0016.00
Percent Profitable56.4170.2785.2989.2995.45100.00
Average Period Return1.053.276.3111.4115.8321.17
Average Gain2.565.247.9312.8716.5921.17
Average Loss-0.89-1.38-3.10-0.78-0.11
Best Period8.0015.7525.7923.4425.9825.70
Worst Period-2.28-4.04-4.60-1.56-0.1115.75
Standard Deviation2.465.007.878.658.212.78
Gain Standard Deviation2.214.657.367.967.582.78
Loss Standard Deviation0.891.371.230.70
Sharpe Ratio (1%)0.400.610.741.201.746.90
Average Gain / Average Loss2.873.792.5616.48145.55
Profit / Loss Ratio3.718.9614.84137.363056.52
Downside Deviation (10%)1.031.622.342.292.22
Downside Deviation (5%)0.861.141.440.610.34
Downside Deviation (0%)0.821.041.260.320.02
Sortino Ratio (10%)0.631.261.642.793.71
Sortino Ratio (5%)1.132.654.0217.0041.54
Sortino Ratio (0%)1.293.155.0036.03651.44

Top Performer Badges

Index Award Type Rank Performance Period
Stock Index Trader Index Month 2 7.58 6/2020
Systematic Trader Index Month 3 7.58 6/2020
IASG CTA Index Month 4 7.58 6/2020
Stock Index Trader Index Month 6 2.36 5/2020
Stock Index Trader Index Month 7 4.38 4/2020
Stock Index Trader Index Month 7 4.38 4/2020
Stock Index Trader Index Month 5 4.70 2/2020
Stock Index Trader Index Month 3 4.34 1/2020
Stock Index Trader Index Month 5 2.55 11/2019
Stock Index Trader Index Month 10 1.39 8/2019
Stock Index Trader Index Month 5 2.74 2/2019

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.